Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1017
Annualized Std Dev 0.3094
Annualized Sharpe (Rf=0%) 0.3288

Row

Daily Return Statistics

Close
Observations 4096.0000
NAs 1.0000
Minimum -0.1339
Quartile 1 -0.0086
Median 0.0011
Arithmetic Mean 0.0006
Geometric Mean 0.0004
Quartile 3 0.0107
Maximum 0.1659
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0012
Variance 0.0004
Stdev 0.0195
Skewness 0.0004
Kurtosis 5.2902

Downside Risk

Close
Semi Deviation 0.0140
Gain Deviation 0.0135
Loss Deviation 0.0143
Downside Deviation (MAR=210%) 0.0183
Downside Deviation (Rf=0%) 0.0137
Downside Deviation (0%) 0.0137
Maximum Drawdown 0.7159
Historical VaR (95%) -0.0310
Historical ES (95%) -0.0459
Modified VaR (95%) -0.0294
Modified ES (95%) -0.0456
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2017-05-16 -0.7159 2401 267 2134
2018-01-29 2019-01-03 2020-07-06 -0.3969 613 235 378
2021-02-17 2021-03-08 NA -0.2174 24 14 NA
2006-05-09 2006-06-13 2006-11-15 -0.2075 134 25 109
2007-07-16 2007-08-16 2007-08-27 -0.1901 31 24 7

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA NA NA NA -0.6 -0.6
2005 -0.4 1 0.1 0.9 0.2 -0.1 1.3 1.2 0 1.9 2.5 -0.6 8.2
2006 0.5 0.9 0.7 0.5 0.4 0.1 -1 0.3 0.3 0.2 -1.4 -0.8 0.5
2007 -0.7 -2.6 -0.9 0.9 0.7 0.4 -2.5 2.6 2.9 -4.1 0.3 -0.1 -3.4
2008 4.7 -2.9 5.9 1.3 1.6 -2 0.2 -0.2 1.4 -0.1 -9.8 1.5 0.9
2009 1.8 -1.5 3.1 2.3 5 0 1 -2.4 -3.5 -3.8 2.2 0.5 4.5
2010 2.6 1.9 1.1 -0.5 -2.8 0.1 1.5 2.7 0.6 0.4 1.6 0.5 10
2011 2 -0.9 1.4 0.3 -1.9 1.1 -0.7 -1.4 -3.5 -3 0.1 0.3 -6.2
2012 1.4 0.5 0.7 0.9 -3 2.9 -0.1 0.7 -0.2 2.2 -0.3 2 7.9
2013 1 -0.1 -1.1 -1 -1 0.3 3.6 -1.8 2.2 0.7 0.8 0.7 4.4
2014 -0.8 0.3 3.2 1.9 -1.5 1.4 -0.8 -0.1 -2.8 2.3 -3.7 0 -0.8
2015 -0.7 -1.6 0.6 0.7 1.3 -1.5 -0.1 -2.8 -0.5 2.4 1 0.1 -1.1
2016 -0.8 2.2 -0.2 -1.2 -0.7 0 0.5 1.4 -0.6 -1.1 -2.3 -0.4 -3.2
2017 0.1 1.5 0.1 0.8 1.6 -0.2 -0.2 0.9 0.3 0.5 -0.8 0.1 4.8
2018 -1.1 -2.2 2.1 0.7 1.3 0.5 -0.8 0.7 -0.5 6.7 1.9 -0.9 8.5
2019 -0.2 -0.4 2.7 -0.4 -1.3 2.5 -2.8 0.7 0 1.9 -1.2 -0.3 1.1
2020 -1.9 -0.6 -1.9 -5.6 1.7 0.5 1.4 3 1.2 -1.9 -0.1 -0.5 -4.9
2021 3.4 5.2 0.1 NA NA NA NA NA NA NA NA NA 8.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2004-12-09  14.6 SPY    119.  3.50e-3  -0.001    0.0199   0.0544    0.117   0.0227   -0.171 GLD    43.8 -0.0052  -0.026 
2 2004-12-10  14.5 SPY    119.  1.00e-3   0.0007   0.0202   0.052     0.118   0.0433   -0.164 GLD    43.4 -0.0078  -0.0474
3 2004-12-13  14.4 SPY    120.  8.70e-3   0.0097   0.0213   0.059     0.115   0.0545   -0.150 GLD    43.9  0.0108  -0.0279
4 2004-12-14  14.5 SPY    121.  3.50e-3   0.0228   0.0168   0.0708    0.117   0.057    -0.142 GLD    43.6 -0.0082  -0.0346
5 2004-12-15  14.7 SPY    121.  7.00e-4   0.0176   0.0181   0.0684    0.123   0.0787   -0.145 GLD    44.0  0.0101  -0.0005
6 2004-12-16  14.5 SPY    121. -6.00e-4   0.0134   0.0249   0.0677    0.117   0.0679   -0.148 GLD    43.7 -0.007   -0.0023
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart